Usually, it gets loaded onto your club card and you can access it at a slot machine (after you've entered your PIN). The bigger freeplay amounts are almost always a promotion the casinos send out to players who gamble a nice bit of money in their casino.
Casinos often offer free play as a promotional tool to attract players and provide them with a chance to try out their games. However, these free play credits usually come with terms and conditions that need to be met before any winnings can be withdrawn as real money.